I've read that radiator lockshield valves are used to "balance" radiators so that they warm up at the same speed, but I don't quite understand the principle of how this works. If the main thermostatic valve controls the water flow to control how fast the water enters the radiator to heat it, surely that controls the exit flow as a consequence? How does having a second valve change the flow? And if the second valve does change the flow, wouldn't that interfere with the main valve's flow control?
Scenario: your heating has been turned off all night. The whole house is cold. It's now 5.30am and your heating switches on.
Every thermostatic valve in your house is fully open, because it's very cold next to every thermostatic valve. If all your lockshields are fully open, where will the hot water from the boiler go? Answer: the flow through each pipe will be proportional to the resistance. Shorter pipe = less resistance, therefore more of the hot water will flow through the radiator closest to the boiler, some will go through a radiator further from the boiler, and (relatively) little will go through the radiator furthest from the boiler.
Eventually the room closest to the boiler will get up to temperature, the thermostatic valve will shut, and so the next closest room will get the most flow. And this will continue until all rooms are at their desired temperature.
What lockshields allow you to do is to very nearly close the valve on the radiator closest to the boiler. This increases the resistance of flow through that pipe, offsetting the fact that the pipe is very short. By closing each lockshield the right amount you "balance" the system by making every radiator have the same total resistance (total resistance = length of pipe resistance + lockshield resistance). And so every radiator heats up at the same rate.
Of course, you could even try and play with the lockshields to make rooms heat up in a specific order. e.g. bedroom first, then bathroom, then kitchen last.
Of course, balancing the radiators is difficult. I've never achieved it properly. At the end of the day, the rooms heating up one by one isn't the end of the world, unless you happen to have the bedroom which heats up last!
You seem to think that thermostatic valves control the flow rate. They shouldn't. You should think of them as an on/off switch: either they're on and letting water flow in, or they're off and not letting water flow in. In practice they might reduce the flow as the room gets towards the desired temperature in order not to overshoot it, but this is a secondary effect.